Alessandro Gnoatto

activity

20112026

most citedA general HJM framework for multiple yield curve modeling

67 citations · 101 across the 16 of their papers we have counts for

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Showing 2013Show all

2 papers · 1 filter

q-fin.PR2013

Affine HJM Framework on $S_{d}^{+}$ and Long-Term Yield

Francesca Biagini, Alessandro Gnoatto, Maximilian Härtel

We develop the HJM framework for forward rates driven by affine processes on the state space of symmetric positive matrices. In this setting we find a representation for the long-t…

q-fin.PR2013

An analytic multi-currency model with stochastic volatility and stochastic interest rates

Alessandro Gnoatto, Martino Grasselli

We introduce a tractable multi-currency model with stochastic volatility and correlated stochastic interest rates that takes into account the smile in the FX market and the evoluti…

Affine HJM Framework on Sd+​ and Long-Term Yield

An analytic multi-currency model with stochastic volatility and stochastic interest rates

Affine HJM Framework on $S_{d}^{+}$ and Long-Term Yield